Forecasting Exchange Rates and Constructing Currency Portfolios

(Formerly numbered M123.) Lecture, three hours; discussion, one hour. Requisites: courses 41, 102, 103, 103L, or consent of instructor. Enforced corequisite: course 123L. Study of main theoretical models of exchange rates and how to design computer codes to make real-time exchange rate forecasts by applying such models to real-world data. Different statistical tests to evaluate accuracy of forecasts and to assess risk-reward trade-offs of currency portfolios. Students gain applied research and presentation skills. Discussion of books and newspaper articles about financial markets and impact of economic news on exchange rates. Students expected to be familiar with use of spreadsheets, such as Excel. Coding basics is highly recommended. P/NP or letter grading.

Review Summary

Clarity
N/A
Organization
N/A
Time
N/A
Overall
N/A

Course

Instructor
Aaron Tornell
Previously taught
23W 21F 20F

Previous Grades

Grade distributions not available.

Textbooks

Textbook information not available.